Swaps

SIFMA’s Asset Management Group (AMG) has prepared an information statement to address Article 15 of the EU’s Securities Financing Transaction Regulation (SFTR). Article 15 requires that, for arrangements involving the right of reuse of collateral or a title transfer collateral arrangements, the counterparty has been duly informed in writing by the receiving counterparty of “the risks and consequences that may arise in the event of the default of the receiving counterparty.” (See link to regulation).

SIFMA’s Asset Management Group (SIFMA AMG) has prepared a template client document that asset management firms can use to comply with new informational and disclosure obligations required to onboard clients for derivatives transactions. The “Derivatives Package” for use with clients includes a cover letter, a Derivatives Trading Client Questionnaire, a Derivatives Authorization, and a list of regulatory definitions used in the documents. Client completion and signing of the Derivatives Package provides asset managers with authority to set up an account for trading on the client’s behalf, to make required representations, and to adhere to the relevant industry Protocols without disruption of the management of the client’s account.

SIFMA’s Asset Management Group (AMG) prepared the following client classification outreach letter in order to assist asset managers helping their clients navigate clearing requirements in Europe pursuant to the European Market Infrastructure Regulation (EMIR).

SIFMA’s Asset Management Group (AMG) has prepared the following letter to aid asset managers seeking to comply with the exception provided for transactions with independent fiduciaries with financial expertise. The letter seeks confirmation that the manufacturer is not acting as an ERISA fiduciary, not providing advice to specific clients/categories of clients and that the counterparty meets the requirements of the institutional exception.

SIFMA’s Asset Management Group (AMG), working in collaboration with the International Swaps and Derivatives Association (ISDA), has helped to develop a new interest rate swap (IRS) contract structure with pre-defined, market-agreed terms. These Market Agreed Coupon (MAC) contracts should promote liquidity and enhance transparency in IRS trading. The MAC Contract is voluntary and is meant to complement bespoke IRS and deliverable interest rate futures.

The establishment of CUSIP numbers, a standardized method for identifying MAC contracts, will also serve to facilitate trading and transparency in the IRS marketplace.

The latest set of MAC coupons has been recommended by SIFMA AMG’s MAC Sub-Committee. The coupons are set close to par, based on the three- or six-month forward curve, and rounded to the nearest 25 basis point increment. Any changes to these coupons or future coupons will be published periodically in accordance with the MAC Term Sheet. Please refer to the “MAC Term Sheet” for important information regarding these coupon rates. For any MAC related questions, contact: Elisa Nuottajarvi.

Due to market moves of 100 bps or more, the MAC Committee recommended NEW coupons for some of the June 2015 MAC contracts. The new recommended coupons for the June 2015 MAC contracts will became effective on February 9, 2015: MAC Coupons and CUSIPs – June 2015 (xls)